Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 2 3 6 631
A General Randomized Test for Alpha 0 5 5 5 0 7 7 7
A general randomized test for Alpha 0 0 11 11 4 8 22 22
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 414 1 1 12 795
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 1 1 5 157 3 8 25 608
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 0 306 3 10 30 1,142
Arbitrage in the foreign exchange market: Turning on the microscope 0 0 0 467 3 5 38 1,805
Assessing the benefits of international portfolio diversification in bonds and stocks 0 0 2 316 4 12 20 1,329
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 2 4 5 210
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 2 2 12 246
Asset prices, exchange rates and the current account 0 0 0 131 1 2 13 334
Asset prices, exchange rates and the current account 0 0 0 378 1 37 84 1,051
Business Cycles and Currency Returns 1 1 1 49 6 9 25 186
Business Cycles and Currency Returns 0 0 0 24 2 6 22 111
Carry Trades and Global FX Volatility 0 0 1 425 5 10 31 1,036
Carry Trades and Global Foreign Exchange Volatility 0 0 1 254 3 11 25 591
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 56 4 9 14 223
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 2 2 8 302
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 0 1 7 212
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 0 2 9 349
Currency Momentum Strategies 0 0 2 281 4 17 56 1,569
Currency Momentum Strategies 0 0 1 102 4 7 26 456
Currency Momentum Strategies 0 1 2 150 5 8 23 545
Currency Premia and Global Imbalances 0 0 2 110 6 10 26 370
Currency Risk Premia Redux 0 0 0 6 3 3 10 32
Currency Value 0 1 1 112 1 5 15 190
Currency risk premiums redux? 0 0 1 8 6 9 25 42
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 98 2 2 14 268
European Capital Flows and Regional Risk 0 0 0 0 1 3 7 389
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 0 1 175 1 3 24 545
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 0 2 9 630
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 174 1 2 20 413
Exchange Rates and Sovereign Risk 0 0 1 16 1 5 22 69
Exchange rate forecasting, order flow and macroeconomic information 0 0 1 299 1 1 10 651
Federal Funds Rate Prediction 0 0 0 207 0 2 9 1,938
Federal Funds Rate Prediction 0 0 0 482 1 3 15 6,445
Federal funds rate prediction 0 0 0 329 1 1 12 1,558
Foreign Exchange Intervention: A New Database 0 1 1 42 3 4 16 153
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 0 0 151 3 6 17 359
Foreign Exchange Volume 0 0 1 13 1 2 9 59
Foreign currency lending 0 0 0 44 4 4 11 282
Foreign exchange intervention: A new database 0 0 0 5 3 4 6 22
Foreign exchange intervention: A new database 0 0 1 58 3 6 19 99
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 3 3 9 600
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 635 3 6 17 1,539
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 0 2 2 20 22
How well do monetary fundamentals forecast exchange rates? 0 0 2 823 4 4 12 2,523
Information flows in foreign exchange markets: dissecting customer currency trades 0 0 1 136 1 7 16 500
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 365 0 3 15 534
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 0 1 14 414
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 213 1 1 7 605
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 1 2 18 662
Monetary policy and learning in an open economy 0 0 0 19 0 2 9 146
Monetary policy and learning in an open economy 0 0 0 148 5 6 11 450
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 174 2 3 9 393
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 0 0 289 2 2 9 928
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 1 2 6 416
Non-Standard Errors 0 0 0 27 2 5 23 168
Non-Standard Errors 0 0 0 44 5 10 38 476
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 0 203 1 3 14 708
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 0 1 9 347
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 348 0 1 5 532
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 0 0 3 956 13 14 32 2,061
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 1 304 1 3 12 702
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 1 5 24 486
Nonstandard Errors 0 0 0 0 3 4 19 19
Nonstandard Errors 0 0 2 4 2 5 24 43
Nonstandard Errors 0 0 0 0 4 9 32 32
Nonstandard errors 0 0 1 12 3 10 35 79
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 0 2 6 931 6 12 29 2,378
Properties of Foreign Exchange Risk Premia 0 0 2 152 8 11 18 436
Properties of Foreign Exchange Risk Premiums 0 0 2 83 2 4 12 271
Properties of Foreign Exchange Risk Premiums 0 0 0 74 2 3 16 182
Purchasing Power Parity and the Real Exchange Rate 0 1 2 1,199 5 11 29 3,827
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 0 2 11 861
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 1 2 10 707
Risks and Risk Premia in the US Treasury Market 0 0 2 2 1 5 13 14
Risky Bank Guarantees 0 0 0 14 0 2 3 71
Risky bank guarantees 0 0 0 22 0 2 10 59
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 1 1 5 487
Spot and Forward Volatility in Foreign Exchange 0 1 5 581 6 7 25 1,879
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 0 389 2 22 61 1,397
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 0 0 564 3 12 22 3,194
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 1 126 2 4 16 443
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 108 1 1 7 468
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 5 6 19 820
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 522 3 5 16 1,329
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 0 1 220 2 8 11 615
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 114 1 1 12 234
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 43 4 6 19 189
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 246 1 8 30 653
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 63 3 17 33 254
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 58 1 6 14 273
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 194 1 1 7 303
The cost of foreign-currency lending 0 0 0 0 1 6 13 29
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 0 0 0 527 4 6 19 2,150
The efficient market hypothesis and identification in structural VARs 0 0 0 253 1 1 12 896
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 383 1 2 9 824
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 0 222 3 5 8 757
The scapegoat theory of exchange rates: the first tests 0 0 0 34 1 4 13 172
The scapegoat theory of exchange rates: the first tests 0 1 1 90 2 6 10 442
Volatility Risk Premia and Exchange Rate Predictability 0 0 0 65 2 6 23 203
What Do Stock Markets Tell Us About Exchange Rates? 0 0 0 43 2 5 12 133
What Drives International Portfolio Flows? 0 0 0 102 6 12 22 293
What do stock markets tell us about exchange rates? 0 1 3 91 7 10 27 194
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 3 3 8 586
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 1 2 3 136 6 9 24 291
When is foreign exchange intervention effective? Evidence from 33 countries 0 0 3 101 4 19 48 228
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 89 3 7 15 286
Total Working Papers 3 18 83 20,083 270 632 1,966 72,487
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 0 1 93 0 1 11 324
A cross-country financial accelerator: Evidence from North America and Europe 0 0 0 96 1 1 12 267
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 1 88 2 3 11 321
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 128 2 2 6 310
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 0 186 3 6 13 535
Arbitrage in the foreign exchange market: Turning on the microscope 1 2 18 404 12 18 89 1,506
Asset prices, exchange rates and the current account 0 0 0 119 2 3 19 409
Business cycles and currency returns 1 1 3 44 4 10 23 169
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 4 6 13 170
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 4 4 16 1,437
Carry Trades and Global Foreign Exchange Volatility 0 1 4 213 9 18 40 673
Comparing the accuracy of density forecasts from competing models 0 0 0 87 0 0 7 277
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 1 1 4 63
Currency Premia and Global Imbalances 2 2 4 103 7 12 30 425
Currency Risk Premiums Redux 1 1 4 6 5 5 23 31
Currency Value 0 0 4 82 1 4 24 279
Currency momentum strategies 2 6 18 425 15 42 100 1,435
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 1 190 5 6 19 479
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 123 4 9 18 615
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 0 128 2 4 20 305
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 1 1 1 3 7
European Capital Flows and Regional Risk 0 0 0 81 2 3 12 329
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 1 211 2 7 20 565
Exchange Rates and Sovereign Risk 3 3 6 12 10 14 35 57
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 0 33 1 4 8 188
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 49 4 6 9 179
Exchange rate forecasting, order flow and macroeconomic information 2 3 9 320 8 17 41 944
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 0 237 2 4 34 660
Federal Funds Rate Prediction 0 0 0 0 2 3 6 849
Foreign Exchange Intervention: A New Database 0 2 6 14 6 9 30 62
Foreign Exchange Volume 0 1 2 12 4 7 40 77
Foreign exchange risk and the predictability of carry trade returns 1 1 1 53 2 2 14 203
Global liquidity risk in the foreign exchange market 0 0 1 83 5 8 16 413
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 0 335 2 4 10 1,028
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 0 1 147 3 15 33 548
How well do monetary fundamentals forecast exchange rates? 0 0 0 710 1 2 9 1,958
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 16 1 3 11 147
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 0 289 0 3 13 1,100
Mean reversion in stock index futures markets: A nonlinear analysis 0 0 1 6 3 4 15 51
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 232 2 4 10 728
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 1 1 1 9 17
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 158 0 1 10 555
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 0 2 48 2 4 14 180
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 0 2 2 520 1 3 8 1,138
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 0 1 11 21
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 1 1 2 8
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 0 3 11 299
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 1 3 9 155
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 10 13 25 830
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 0 1 250 3 11 30 732
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 76 2 4 12 274
Nonstandard Errors 0 2 8 44 4 15 58 176
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 1 1 9 1,077 6 12 39 2,745
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 142 1 2 6 503
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 177 2 2 8 803
Properties of foreign exchange risk premiums 0 0 0 92 1 2 7 303
Purchasing Power Parity and the Real Exchange Rate 0 1 5 1,994 3 9 42 4,786
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 0 290 4 11 21 787
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 112 4 4 13 287
Real exchange rate behavior in the Middle East: a re-examination 0 1 1 63 2 3 11 264
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 0 1 150 2 2 5 400
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 1 1 121 2 7 17 376
Risks and risk premia in the US Treasury market 0 0 0 5 10 15 39 51
Risky bank guarantees 0 0 0 19 2 2 18 92
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 0 4 404
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 0 2 4 3 3 9 18
Special issue on advances in international money, macro and finance 0 0 0 44 1 1 7 145
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 4 1 4 14 27
Spot and forward volatility in foreign exchange 0 0 3 146 2 5 20 540
Stochastic growth: Empirical evidence from the G7 countries 0 0 0 11 4 8 17 158
Systematic sampling and real exchange rates 0 0 0 24 1 1 9 97
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 66 2 2 38 305
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 1 3 7 11 29
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 3 4 18 211
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 1 116 2 7 15 392
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 160 0 0 13 536
The behavior of US public debt: a nonlinear perspective 0 0 0 127 0 1 9 375
The behavior of real exchange rates during the post-Bretton Woods period 0 0 3 416 9 11 30 1,157
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 0 1 13 3 3 10 63
The cost of foreign-currency lending 0 0 1 9 2 4 19 59
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 0 0 0 284 5 7 15 1,134
The economic value of predicting bond risk premia 0 0 1 38 1 4 17 136
The efficient market hypothesis and identification in structural VARs 0 0 0 163 0 6 20 911
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 0 1 202 3 5 18 716
The market for lemmings: The herding behavior of pension funds 0 0 2 34 5 6 14 147
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 1 336 2 2 12 937
The scapegoat theory of exchange rates: the first tests 0 1 1 91 3 6 12 350
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 0 8 1 1 6 33
The trade imbalance network and currency returns 0 0 6 6 2 6 43 43
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 9 2 3 15 46
Timing exchange rates using order flow: The case of the Loonie 0 0 0 36 1 2 12 161
Toward a new paradigm in open economy modeling: where do we stand? 0 0 1 27 1 2 10 103
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 1 388 5 10 28 812
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 0 5 4 5 16 41
Volatility risk premia and exchange rate predictability 0 1 4 124 5 15 38 437
What Do Stock Markets Tell Us about Exchange Rates? 0 0 1 33 0 5 22 154
What drives international portfolio flows? 0 0 1 70 3 3 20 226
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 1 2 6 181
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 1 8 3 6 23 40
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 2 129 8 13 29 546
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 0 60 2 7 16 186
Total Journal Articles 14 33 152 14,044 301 583 1,927 47,761
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 4 12 49 804
Total Books 0 0 0 0 4 12 49 804

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 0 0 0 0 0 1 5 5
Total Chapters 0 0 0 0 0 1 5 5

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Statistics updated 2026-05-06